Art B. Owen 2026-11-05
Art B. Owen developed and presented empirical likelihood, a form of nonparametric statistics that assigns probabilities to observed data points instead of selecting a parametric family. His monograph explains how likelihood constraints can encode a proposed population mean or other parameter. This preserves likelihood-based inference while avoiding a fixed parametric shape for the underlying probability distribution.[ref]
Empirical likelihood Created 2026-09-24 Updated 2026-11-05
Empirical likelihood assigns adjustable probability masses to observed values, rather than selecting a fixed finite-dimensional probability distribution family. For distinct observations from an independent and identically distributed sample, the basic objective is with and . Without additional constraints the maximum is at , recovering the empirical distribution.
To assess a proposed expected value , impose and maximize under that constraint. The empirical likelihood ratio isFor observations and proposed expected value , the constraints force weights , giving and . A proposed expected value outside the convex hull of the observations has no feasible weights. Such sample-support restrictions matter in small samples and should not be confused with proof that the population expected value is impossible. The method's likelihood-without-a-parametric-family motivation is described by Art B. Owen.[ref]
Empirical Likelihood by Art B. Owen. Author's companion website, introductory description; the two-observation calculation is derived here